def test_euriborcurve(self):
# 1/21/2012 is a weekend, should be adjusted to 23rd
evaldate = date(2012, 1, 21)
#set_eval_date(evaldate)
depos = dict([(str(n) + "M", .05) for n in [1, 3, 6, 9, 12]])
swaps = dict([(str(n) + "Y", .05)
for n in [2, 3, 5, 7, 10, 12, 15, 20, 30]])
futures = {}
rh = curves.RateHelperCurve(EURiborCurve("6M", Annual))
rh.update(depos, futures, swaps, evaldate)
print("Test EURibor")
self.assertTrue(rh.referenceDate == date(2012, 1, 25))
self.assertTrue(rh.tenorquote("10Y") == .05)
self.assertTrue(rh.discount(0.0) == 1.0)
self.assertTrue(rh.discount(10.0) <= rh.discount(5.0))
print("Done\n\n")
def test_swapcurve(self):
evaldate = date(2004, 9, 20)
set_eval_date(evaldate)
futures = dict(
zip(("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7", "ED8"),
(96.2875, 96.7875, 96.9875, 96.6875, 96.4875, 96.3875, 96.2875,
96.0875)))
depos = dict(zip(("1W", "1M"), (.0382, 0.0372)))
swaps = dict(
zip(("3y", "5y", "10Y", "15Y"),
(0.0398, 0.0443, 0.05165, 0.055175)))
rh = curves.RateHelperCurve(EURiborCurve("6M", Annual))
rh.update(depos, futures, swaps, evaldate)
self.assertTrue(abs(rh.discount(10.) - 0.597) < 0.001)
)
depotenors, depospots = (
("1W", "1M", "3M", "6M", "9M", "1y"),
(.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345)
)
swaptenors, swapspots = (
("2y", "3y", "5y", "10Y", "15Y"),
(0.037125, 0.0398, 0.0443, 0.05165, 0.055175)
)
futures = dict(zip(futtenors, futspots))
depos = dict(zip(depotenors, depospots))
swaps = dict(zip(swaptenors, swapspots))
print("one")
rh = curves.RateHelperCurve(EURiborCurve("6M", pybg.enums.Frequencies.Annual))
print("two")
dt = rh.update(depos, {}, swaps, evaldate)
print("\nin quicktest curve: \ncrv date: %s" % dt)
print("ref date: %s" % rh.referenceDate)
df = rh.discount(10.0)
print("\nTest curve: \ndiscount: %s" % df)
#BONDS
uscal = enums.Calendars.UnitedStates(enums.Calendars.GOVERNMENTBOND)
print("\n\nbonding: {}".format(get_eval_date()))
'30Y': 0.02366,
'3Y': 0.00568,
'40Y': 0.023895,
'4Y': 0.007007,
'5Y': 0.008685,
'6Y': 0.010549,
'7Y': 0.012316,
'8Y': 0.01387,
'9Y': 0.015218}
print("\nSetting eval date: %s" % dt0)
set_eval_date(dt0)
print("eval date used: {}".format(get_eval_date()))
rh = curves.RateHelperCurve(USDLiborCurve("3M"))
rh.update(depos, {}, swaps, get_eval_date())
govbondcurve = curves.CurveBase(pybg.enums.Calendars.UnitedStates(pybg.enums.Calendars.GOVERNMENTBOND),
1,
pybg.enums.DayCounters.Actual360(),
pybg.enums.Frequencies.Semiannual,
pybg.enums.BusinessDayConventions.ModifiedFollowing,
pybg.enums.DayCounters.ActualActual(pybg.enums.DayCounters.Bond),
pybg.enums.DayCounters.ActualActual(pybg.enums.DayCounters.ISDA)
)
bcrv = curves.BondCurve(govbondcurve)
dated = [date(2005, 3, 15),
set_eval_date(evaldate)
futtenors, futspots = (("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7",
"ED8"), (96.2875, 96.7875, 96.9875, 96.6875, 96.4875,
96.3875, 96.2875, 96.0875))
depotenors, depospots = (("1W", "1M", "3M", "6M", "9M", "1y"),
(.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345))
swaptenors, swapspots = (("2y", "3y", "5y", "10Y", "15Y"),
(0.037125, 0.0398, 0.0443, 0.05165, 0.055175))
futures = dict(zip(futtenors, futspots))
depos = dict(zip(depotenors, depospots))
swaps = dict(zip(swaptenors, swapspots))
rh = curves.RateHelperCurve(EURiborCurve("6M", Annual))
rh.update(depos, {}, swaps, evaldate)
print("\nTest curve: \ndate: %s" % rh.referenceDate)
df = rh.discount(10.0)
print("\nTest curve: \ndiscount: %s" % df)
swp2 = EuriborSwap("6M", rh.referenceDate, date(2009, 9, 22), .04, FixedPayer)
swp2.setEngine(rh)
print("\nSwap\nNPV: %s | fx: %s | fl: %s" %
(swp2.NPV, swp2.fixedLegNPV, swp2.floatingLegNPV))
print("Fixed Leg")
set_eval_date(evaldate)
futtenors, futspots = (("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7",
"ED8"), (96.2875, 96.7875, 96.9875, 96.6875, 96.4875,
96.3875, 96.2875, 96.0875))
depotenors, depospots = (("1W", "1M", "3M", "6M", "9M", "1y"),
(.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345))
swaptenors, swapspots = (("2y", "3y", "5y", "10Y", "15Y"),
(0.037125, 0.0398, 0.0443, 0.05165, 0.055175))
futures = dict(zip(futtenors, futspots))
depos = dict(zip(depotenors, depospots))
swaps = dict(zip(swaptenors, swapspots))
rh = curves.RateHelperCurve(EURiborCurve("6M", Frequencies.Annual))
rh.update(depos, {}, swaps, evaldate)
df = rh.discount(10.0)
print("\nTest curve: \ndate: %s" % rh.referenceDate)
print("\nTest curve: \ndiscount: %s" % df)
swp2 = EuriborSwap("6M", rh.referenceDate, date(2009, 9, 22), .04, FixedPayer)
swp2.setEngine(rh)
print("\nSwap\nNPV: %s | fx: %s | fl: %s" %
(swp2.NPV, swp2.fixedLegNPV, swp2.floatingLegNPV))
print("Fixed Leg")
cfNPV = 0.0